While the KF forecast step Eq. (REF ) is a simple algebraic formula, its fails to apply in large systems because of its numerical cost: if \(n\)  denotes the dimension of the vector representation of \(\chi \) , then the computational complexity of Eq. (REF ) scales between \(n^2\)  and \(n^3\)  [1]}. In term of integration cost, the KF requires \(2n\)  integrations of the model Eq. (REF ).
